CME Options History — October 2021

In October 2021, CME traded between $194.69 and $220.88. ATM implied volatility averaged 22.5%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.3% (HV 20d: 18.3%). Max pain ranged from $200.00 to $200.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2021-10-27: Highest Volume — 8,930 contracts
  • 2021-10-27: Largest IV drop — 11.6% change
  • 2021-10-04: Highest IV Rank — 41.5%
  • 2021-10-04: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$209.06$194.69$220.88$196.74$220.88
Max Pain$200.00$200.00$200.00$200.00$200.00
ATM IV22.5%19.6%26.3%24.7%20.5%
Expected Move6.4%5.8%7.2%6.3%6.0%
HV 20d18.3%17.0%20.0%17.0%18.2%
HV 60d17.0%16.1%17.6%16.2%17.6%
IV Rank24.1%10.5%41.5%34.1%14.6%
IV Percentile41.9%13.5%70.6%57.5%23.4%
Term Structure-0.2%-1.5%2.0%0.2%0.4%
VWIV23.1%20.9%28.0%22.4%23.0%
Skew 25d3.3%2.3%4.6%4.4%3.7%
Skew 10d7.4%4.9%16.8%10.4%5.9%
Call IV 25d21.4%18.7%24.0%22.5%19.0%
Put IV 25d24.7%21.3%28.6%26.9%22.7%
Bid-Ask Spread %68.2460.1976.1372.1967.45
Gamma HHI0.130.080.210.080.21
Net GEX4.6M-3.1M12.2M-1.2M12.2M
Net DEX-126.6M-241.4M60.1M12.3M-241.4M
Net VEX-1.1M-1.3M-928.6K-1.3M-930.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.152.800.222.01
Total Volume4,205.815898,9302,3378,486
Total OI52,760.76244,45158,00158,00150,396

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$196.74$200.0024.7%6.3%17.0%34.1%22.4%4.4%0.2%-1.2M12.3M-1.3M0.2272.19N/AN/A1,91142626,65731,344
2021-10-04$194.69$200.0026.3%7.2%17.2%41.5%24.4%4.6%-1.3%-3.1M60.1M-1.2M1.7169.30N/AN/A25142925,04830,581
2021-10-05$198.95$200.0024.3%6.8%18.3%32.3%24.1%2.8%-0.5%-333.2K-7.8M-1.3M1.0169.56N/AN/A45345725,64930,761
2021-10-06$198.43$200.0024.2%6.9%18.4%31.8%25.4%4.1%0.0%-513.1K-502.7K-1.3M1.1969.72N/AN/A37844825,70130,814
2021-10-07$201.69$200.0023.6%6.7%19.1%28.9%24.7%3.4%0.2%1.5M-55.8M-1.2M1.0068.88N/AN/A1,0841,08725,80331,044
2021-10-08$201.51$200.0023.7%6.6%17.7%29.5%28.0%4.0%-1.5%1.4M-59.7M-1.2M2.1073.94N/AN/A7771,62825,92331,450
2021-10-11$201.99$200.0023.9%6.8%17.5%30.6%22.9%3.9%-0.3%2.0M-69.3M-1.2M0.1573.58N/AN/A1,58023125,66130,579
2021-10-12$202.58$200.0022.4%6.7%17.4%23.7%24.1%3.5%1.1%3.1M-80.5M-1.1M1.1775.05N/AN/A34440226,07929,692
2021-10-13$203.99$200.0021.9%6.7%17.4%21.2%23.4%3.8%2.0%4.1M-102.0M-1.1M1.0775.78N/AN/A28530426,20829,759
2021-10-14$206.39$200.0021.8%6.1%17.6%20.9%21.4%3.1%-0.7%5.5M-152.1M-1.1M0.2375.57N/AN/A1,13525726,36229,905
2021-10-15$211.49$200.0021.3%6.2%18.7%18.5%21.9%2.3%-0.1%5.9M-214.5M-1.0M0.4376.13N/AN/A3,5901,55426,42729,988
2021-10-18$214.01$200.0021.2%6.0%18.2%18.1%20.9%2.6%-0.1%5.4M-161.8M-1.0M0.5660.96N/AN/A1,68594220,47223,979
2021-10-19$217.40$200.0022.0%6.3%18.2%21.8%21.9%3.2%-0.3%5.7M-190.5M-1.0M0.2562.35N/AN/A1,38735221,27425,024
2021-10-20$213.72$200.0021.8%6.3%20.0%20.9%21.2%3.0%-0.9%6.2M-166.8M-1.0M2.4460.19N/AN/A2,4605,99222,80425,868
2021-10-21$214.29$200.0021.9%6.4%19.0%21.3%21.4%2.7%-1.4%6.2M-169.5M-1.0M2.5962.50N/AN/A2,2605,86022,96626,243
2021-10-22$218.56$200.0022.0%6.5%18.8%21.7%21.7%2.6%-1.4%7.5M-214.8M-996.5K2.5561.55N/AN/A2,4056,14323,17526,330
2021-10-25$217.62$200.0022.7%6.6%19.0%24.7%24.3%3.1%-0.1%7.3M-199.6M-1.0M2.8065.01N/AN/A1,9095,34523,31325,310
2021-10-26$219.90$200.0023.0%6.8%19.1%26.5%24.7%2.9%-0.1%8.1M-226.2M-992.1K2.6065.31N/AN/A2,1105,47823,60125,478
2021-10-27$217.33$200.0020.4%5.8%19.2%14.1%21.9%3.0%0.1%8.7M-205.4M-954.1K1.7162.61N/AN/A3,3005,63024,19525,816
2021-10-28$218.13$200.0019.6%5.8%18.2%10.5%20.9%2.6%1.2%10.5M-212.0M-928.6K2.6965.38N/AN/A2,0525,51524,27226,025
2021-10-29$220.88$200.0020.5%6.0%18.2%14.6%23.0%3.7%0.4%12.2M-241.4M-930.3K2.0167.45N/AN/A2,8205,66624,22426,172